Effect of S&P500's return on emerging markets: Turkish experience
AbstractThis study assesses the effect of S&P500 return on the Istanbul Stock Exchange within a dynamic framework. In order to capture the effect, a block recursive VAR model is built, allowing that S&P500 affects the ISE returns with its current and lag values but not vice versa. The estimates from daily data suggest that returns on S&P500 affect ISE return positively up to four days.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.
Volume (Year): 1 (2005)
Issue (Month): 1 (January)
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Web page: http://www.tandf.co.uk/journals/titles/17446546.asp
Other versions of this item:
- Hakan Berument & Onur Ince, 2005. "Effect of S&P500’s Return on Emerging Markets : Turkish Experience," Departmental Working Papers 0508, Bilkent University, Department of Economics.
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